Benchmark o Producto Financiero
Secured Overnight Financing Rate (SOFR)SOFR
Broad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis.
Actualizado
Cobertura Institucional de Secured Overnight Financing Rate (SOFR)
18 informes
Bond Duration Convexity Math
50/50 vs Regression-Weighted 2s5s10s Butterfly Curve Trades: DV01 Math
Standard 50/50 DV01-weighted 2s5s10s butterfly trades suffer hidden front-end volatility bias; empirical regression and PCA weighting immunize 5-year belly curvature against 2s10s slope steepeners.
Bond Duration Convexity Math
TIPS Real-Yield Duration vs Nominal Treasury Empirical Beta Hedging Math
Hedging $100M of 10-year TIPS 1-for-1 with nominal 10-year Treasuries over-hedges interest-rate risk by ~38% because real yields move only ~0.62 bps per 1.00 bp move in nominal yields.
Bond Duration Convexity Math
Floating-Rate Note (FRN) Interest-Rate Reset Duration vs Spread Duration Math
Confusing near-zero interest-rate reset duration with credit spread duration on Floating-Rate Notes is a classic fixed-income blunder; a 5-year SOFR FRN still loses ~4.55% per +100 bps widening in Discount Margin.
Covered Interest Parity Forwards
JPY 100 Pip Multiplier vs 10,000 Four-Decimal FX Forward Points Math
Hardcoding 10,000 into an FX forward parser misprices USD/JPY and EUR/JPY swap points by a factor of 100x; master ISO pip multipliers, fractional pipettes, and percentage-to-pip conversions.
Covered Interest Parity Forwards
Overnight (O/N), Tom-Next (T/N) & Spot-Next (S/N) T+2 FX Roll Math
Why do Wednesday Tom-Next FX swap points triple, and why do you SUBTRACT Overnight plus Tom-Next points when pricing a Value Today outright? Master T+0, T+1, and T+2 FX settlement math.
Covered Interest Parity Forwards
Broken-Date FX Forward Interpolation: Linear Points vs Central-Bank Kink Math
Linearly interpolating FX swap points between 1M and 2M tenors across an FOMC or BoJ rate decision misprices broken-date corporate forwards because overnight rates jump as a step function on the meeting date.
Covered Interest Parity Forwards
SOFR, ESTR & SONIA OIS Compounded In-Arrears FX Forward Discounting Math
Post-LIBOR FX forwards price exclusively off collateralized overnight Risk-Free Rate (RFR) discount curves; changing CSA collateral currency from USD SOFR to EUR ESTR alters multi-year forward valuation.
Covered Interest Parity Forwards
Cross-Rate Triangular FX Forward Arbitrage & Bid-Ask Swap Bounds Math
Every cross-currency forward outright obeys multiplicative Bid-Ask triangular parity through the US dollar; routing illiquid crosses synthetically via USD legs often cuts swap execution spreads by 40%.
Covered Interest Parity Forwards
Synthetic USD Commercial Paper Funding: FX Swap Implied SOFR Spread Math
Multinational corporate and bank treasurers arbitrage global money markets daily by issuing 90-day Euro or Sterling Commercial Paper and swapping proceeds into synthetic US dollars below direct USCP spreads.
Covered Interest Parity Forwards
USD/CAD T+1 Spot Lag, Modified Following & End-of-Month FX Calendar Math
Off-by-one calendar day bugs in FX forward engines misprice weekend and month-end swaps by 300%; master T+1 USD/CAD spot rules, split USD holiday exceptions, Modified Following, and End-of-Month rolls.
Covered Interest Parity Forwards
FX Time-Option (Window) Forward Pricing: Worst-Case Swap Point Rule Math
An FX Time-Option (Window) Forward lets importers or exporters draw down delivery on any day inside a 30-to-60-day window at zero upfront premium by pricing off the worst-case forward point date.
Cagr Irr Drawdown Compounding
XIRR Newton-Raphson Convergence, Descartes Multiple Roots & MIRR Math
Standard XIRR Newton-Raphson loops diverge past the r = -100% singularity or return arbitrary roots when cashflows flip sign twice; master Brent-Newton solvers and closed-form MIRR.
Cagr Irr Drawdown Compounding
Daily Leveraged ETF Beta Slippage & Volatility Decay Math (2x, 3x, -1x)
When an index finishes flat (+0.0%) over a volatile year with 32% annualized sigma, a 3x daily-reset ETF loses -26.5% before financing fees; master exact beta slippage and optimal leverage L*.
Cagr Irr Drawdown Compounding
Hedge Fund 2-and-20 Fee Drag, High-Water Mark & Hurdle Net CAGR Math
Because annual 20% incentive fees crystallize on up years without rebating losses on down years, a volatile fund with +10% gross CAGR can pay 48% of its cumulative 10-year gains in fees!
Cagr Irr Drawdown Compounding
Treynor Ratio, Jensen’s Alpha & Modigliani M-Squared (M2) Leverage Math
When adding a sleeve to a diversified multi-manager book, systematic beta matters more than standalone sigma; master exact Treynor, Jensen Alpha, and Modigliani M-Squared (M2) equations.
Cagr Irr Drawdown Compounding
Fisher Exact Real CAGR, Inflation & Annual Tax Drag Compounding Math
Taxing nominal returns in an inflationary regime levies a stealth wealth tax even when real returns are zero; master Fisher exact real CAGR and deferred vs annual turnover tax drag math.
Fixed Income Duration & Portfolio Risk
Compounded SOFR In-Arrears, NY Fed SOFR Index & Repo Carry Trade Calculator Guide
Exact ACT/360 mathematical specification for New York Fed Compounded SOFR in-arrears, SOFR Index ratio pricing, 5-day lookback observation shifts, and leveraged U.S. Treasury repo carry trade breakeven calculations.
Quantitative Pricing & Options Engines
CME SPAN 2 VaR Margin, Basel FRTB Expected Shortfall & Fractional Kelly Sizing Engine
Institutional risk specification comparing CME SPAN 2 Historical/Stress VaR margin decomposition, Basel III FRTB 97.5% Expected Shortfall, and autocorrelation-adjusted Sharpe, Sortino, and Half-Kelly position sizing in a 4.39% SOFR regime.
Preguntas Frecuentes (FAQ)
3 preguntas respondidas
¿Qué es Secured Overnight Financing Rate (SOFR) y cómo se clasifica?
Broad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis. En el grafo de conocimiento, Secured Overnight Financing Rate (SOFR) se clasifica como Benchmark o Producto Financiero con código SOFR.
¿Qué jurisdicción y autoridad supervisan a Secured Overnight Financing Rate (SOFR)?
Secured Overnight Financing Rate (SOFR) se registra bajo la jurisdicción US.
¿Cómo se cubre a Secured Overnight Financing Rate (SOFR) en QuantCalc Tools?
Secured Overnight Financing Rate (SOFR) aparece en 18 informes de investigación en QuantCalc Tools, conectado con expedientes de brókers regulados y rankings cuantitativos.
Expedientes de Brókers Regulados Relacionados
Clasificaciones Cuantitativas →Autoridades Supervisoras y Registros Oficiales
Todos los Reguladores →Matriz Comparativa de Entidades Similares
Comparativa regulatoria y de clasificación para Secured Overnight Financing Rate (SOFR) y entidades relacionadas
| Entidad | Clasificación | Ticker / Código | Jurisdicción | Regulador | Wikidata ID | Informes |
|---|---|---|---|---|---|---|
Secured Overnight Financing Rate (SOFR)Actual | Benchmark o Producto Financiero | SOFR | US | — | Q48996228 | 21 |
| Benchmark o Producto Financiero | BSM-IMPLIED-VOL | US | CME Options Pricing Standard | Q53536 | 25 | |
| Benchmark o Producto Financiero | BSM-IMPLIED-VOL-STD | US | CME Options Pricing Standard | Q53536 | 12 | |
| Benchmark o Producto Financiero | MONTE-CARLO-CHOLESKY | US | OCC / CME Risk Architecture | Q53536 | 26 | |
| Benchmark o Producto Financiero | MONTE-CARLO-CHOLESKY-STD | US | OCC / CME Risk Architecture | Q53536 | 15 | |
| Benchmark o Producto Financiero | CME-SPAN2-VAR | US | CME Clearing | Q53536 | 26 | |
| Benchmark o Producto Financiero | CME-SPAN2-VAR-STD | US | CME Clearing | Q53536 | 14 |